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Using the global dimension to identify shocks with sign restrictions

Chudik, Alexander; Fidora, Michael - 2011

Identification of structural VARs using sign restrictions has become increasingly popular in the academic literature. This paper (i) argues that identification of shocks can benefit from introducing a global dimension, and (ii) shows that summarising information by the median of the available...

Persistent link: https://www.econbiz.de/10009640694

The EAGLE

Gomes, Sandra; Jacquinot, Pascal; Pisani, Massimiliano - 2010

Building on the New Area Wide Model, we develop a 4-region macroeconomic model of the euro area and the world economy. The model (EAGLE, Euro Area and Global Economy model) is microfounded and designed for conducting quantitative policy analysis of macroeconomic interdependence across regions...

Persistent link: https://www.econbiz.de/10009640345

Leading indicators in a globalised world

Fichtner, Ferdinand; Rüffer, Rasmus; Schnatz, Bernd - 2009

find evidence that the CLI encompasses useful information for forecasting industrial production, particularly over horizons …

Persistent link: https://www.econbiz.de/10009640454

Structural reforms and macroeconomic performance in the euro area countries

Gomes, Sandra; Jacquinot, Pascal; Mohr, Matthias; … - 2011

We quantitatively assess the macroeconomic effects of country-specific supply-side reforms in the euro area by simulating EAGLE, a multi-country dynamic general equilibrium model. We consider reforms in the labor and services markets of Germany (or, alternatively, Portugal) and the rest of the...

Persistent link: https://www.econbiz.de/10009640699

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

Modelling inflation in the euro area

Jansen, Eilev S. - 2004

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...

Persistent link: https://www.econbiz.de/10009636545

On the selection of forecasting models

Inoue, Atsushi; Kilian, Lutz - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square …

Persistent link: https://www.econbiz.de/10009639853

Aggregation and euro area Phillips curves

Fabiani, Silvia; Morgan, Julian - 2003

statistical averaging effect. Finally the out-of-sample forecasting performance of both approaches is evaluated. The results point …

Persistent link: https://www.econbiz.de/10009639854

Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2009

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The … asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the …

Persistent link: https://www.econbiz.de/10009640464

Forecasting inflation with gradual regime shifts and exogenous information

González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011

We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting … for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a … natural example of such exogenous information. We illustrate the application of our method by an out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10009640913